This paper examines the characteristics of rail freight traffic cycles from 1950 to 1976. Both the NBER's statistical indicator approach and time series approach are used to identify the leading indicators of rail freight traffic cycles from a set of leading economic indicators published by the...

This paper presents eight empirical models of monthly ridership for seven U.S. Transit Authorities. Within the framework of these models, the impacts upon monthly ridership from changes in the real fare and gasoline prices are examined. Important findings are: (1) the elasticities of monthly...

In this paper, a multiple transactions model with a panel data approach is used to estimate housing market indices. The multiple transactions model keeps the same features of the repeat transactions index model (i.e., tracking the price appreciation of same houses). However, the multiple...

This study examines the effects of large trades executed by outside customer on the prices of futures contracts traded on the Chicago Mercantile Exchange. We find that, on average, large buyer‐initiated trades have a larger permanent price impact (information effect) than large...

The theory of storage states that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases. Previous literature has tested this hypothesis using the so‐called “direct test” approach, which employs a direct measurement of inventory levels, or the...

The purpose of this article is to characterize linear and nonlinear serial dependence in daily futures price changes. The daily prices of four futures are included in this study: (i) S&P 500; (ii) Japanese yen; (iii) Deutsche mark; and (iv) Eurodollar. Our major empirical findings are: (i) Based on...

On May 1, 2000, the Taiwan government reduced the tax levied on futures transactions on the Taiwan Futures Exchange from 5 to 2.5 basis points. This event provides a unique opportunity to test empirically the impact of a tax rate reduction on trading volume, bid‐ask spreads, and price...